Pardomuan Sihombing, Hary Saputra Sundoro


The purpose of this study is to estimate the movement of the required yield curve as a reference to predict market expectations. The movement of the yield curve is caused by macroeconomics such as the BI rate, inflation, the money supply, the growth of the production index, foreign exchange reserves and foreign investor ownership. This study uses the help of a VAR (Vector Auto Regression) analysis tool or VECM (Vector Error Correction Model) using data from 2007:2-2016:3. The results of this study indicate that all variables both macroeconomic variables and liquidity variables provide a response to the yield curve of government bonds to long-term. In addition, this paper also explains that all variables both in macroeconomics and liquidity variables only have a small contribution to the yield curve but precisely the variable that makes the biggest contribution is the yield curve


Impulse response function; likuiditas; ekonomi makro; variance decomposition; yield curve

Full Text:


Article Metrics

Abstract views : 78| PDF views : 0


Ahmad, N., Muhammad, J., & Masron, T. A. (2009). Factors Influencing Yield Spreads of the Malaysian Bonds. Asian Academy of Management Journal, 14(2), 95–114. Retrieved from

Baldacci, E. S., Gupta, A., & Mati, A. (2008). Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets. IMF Working Papers, 08(259).

Batten, J. A., Fetherston, T. A., & Hoontrakul, P. (2006). Factors Affecting the Yields of Emerging Market Issuers: Evidence from the Asia-Pacific region. Journal of International Financial Markets, Institutions and Money, 16(1), 57–70.

Bodie, Z., Kane, A., & Alan, A. J. (2009). Investments (8th ed). New York (US): McGraw-Hill.

Carleton, W. T., & Cooper, I. A. (1976). Estimation and uses of the term structure of interest ratesThe. Journal of Finance, 31(4), 1067–1084.

Chiarella, C., & Gao, S. (2004). The Value of the S&P 500 - A Macro View of the Stock Market Adjustment Process. Global Finance Journal, 15, 171–196.

Choe, H., Chan, B. K., & Rene, M. S. (1999). Do foreign investors destabilize stock markets? Journal of Financial Economics, 227–264.

Chowdhury, S. M. Z. I., Bayar, Y., & Kilic, C. (2013). Effects of Major Macroeconomic Indicators On Emerging Market Bond Index. Afyon Kocatepe Üniversitesi, İİBF Dergisi, 15–30.

Damodaran, A. (2002). Investment valuation tools and techniques for determining the value of any asset (E. 2, ed.). New York: John Wiley & Sons, Inc.

Fah, C. F. (2008). Macroeconomics determinants of Malaysian Government Securities (MGS) spread 2008. Paper Presented during Proceeding of The MFA Conference.

Fah, C. F., & Ariff, M. (2008). Factors correlated with treasury bond spreads in an emerging capital market. International Journal of Humanities and Social Science, 1(5), 154–164.

Gandhi, D. V. (2006). Pengelolaan Cadangan Devisa di Bank Indonesia. In Seri Kebanksentralan. Jakarta: Pusat Pendidikan dan Studi Kebanksentralan (PPSK) Bank Indonesia.

Gibson, H. D., Hall, S. G., & Tavlas, G. S. (2012). The Greek financial crisis: Growing Imbalances and Sovereign Spreads. Journal of International Money and Finance, 31, 498–516.

Ilmanen, A. (1995). Time-Varying Expected Returns in International Bond Markets. Time-Varying Expected Return in International Bond Markets, L(2).

Jurkšas, L., & Kropienė, R. (2014). Macroeconomic determinants of Lithuanian Government Security Prices. Ekonomika, 93(4), 7–23.

Marcilly, J. (2009). Foreign participation in emerging Asia ’ s local currency debt markets and its links with bond yields : An empirical study Table of Contents. (June).

Min, H. G. (1998). Determinants of Emerging Market Bond Spread: Do Economic Fundamentals Matter ? Development Research Group World Bank, (March).

Miskhin, F. S. (2009). The Economics of money, banking and financial market (9th ed). New York (US): Pearson Education.

Peiris, S. J. (2010). Foreign Participation in Emerging Markets’ Local Currency Bond Markets. IMF Working Paper Monetary. Retrieved from

Piesse, J., Israsena, N., & Thirtle, C. (2007). Volatility transmission in Asian bond markets: Tests of portfolio diversification. Asia Pacific Business Review, 13(4), 585–607.

Resnick, B. G., & Shoesmith, G. L. (2002). Using the Yield Curve to Time the Stock Market. Financial Analysts Journal, 58(3), 82–90.

Rowland, P., & Torres, J. L. (2004). Determinants of spread and creditworthiness for emerging market sovereign debt: a panel data study. Borradores de Economía; No. 295. Retrieved from

Sihombing, P. (2014). Determinan yield curve Surat Utang Negara (SUN).

Sihombing, Pardomuan, Siregar, H., Manurung, A. H., & Santosa, P. W. (2014). Determinants of The Indonesia Government Yield Curve. International Journal of Information Technology and Business Management, 25(1), 22–37. Retrieved from

Stander, Y. S. (2005). Yield curve modelling. New York (US): Palgrave Macmillan.

Sukanto, E. (2009). Pengruh Suku Bunga Deposito, Kurs Rupiah-Usd, Tingkat Inflasi, IHSG dan Inflation Level , Jakarta Composite Index and The Volume of Transactions to The Price of Government Bonds ). Fokus Ekonom, 4(2), 9–23.

Verbeek, M. (2000). A guide to modern Econometrics. Retrieved from



  • There are currently no refbacks.

Copyright (c) 2019 Media Ekonomi

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.


Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.


View My Stats